Wavelet estimation of conditional density with truncated, censored and dependent data

Han-Ying Liang and Jacobo de Uña-Álvarez

Journal of Multivariate Analysis, 2011, vol. 102, issue 3, 448-467

Abstract: In this paper we define a new nonlinear wavelet-based estimator of conditional density function for a random left truncation and right censoring model. We provide an asymptotic expression for the mean integrated squared error (MISE) of the estimator. It is assumed that the lifetime observations form a stationary [alpha]-mixing sequence. Unlike for kernel estimators, the MISE expression of the wavelet-based estimators is not affected by the presence of discontinuities in the curves. Also, asymptotic normality of the estimator is established.

Keywords: Mean; integrated; squared; error; Asymptotic; normality; Nonlinear; wavelet; estimator; Conditional; density; Truncated; and; censored; data; [alpha]-mixing (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (10)

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